Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
2,013 documents
This report challenges mean-variance optimization assumptions that returns are normally distributed, volatility captures risk symmetrically, and portfolios should maximize return per unit of risk. It instead frames investor concerns as preserving principal…
This research roundup summarizes three studies. The first examines whether unexpected US monetary policy announcements affected hedge fund alpha after the financial crisis, using event studies, structural-break tests, and Markov-switching models. It reports…
This historical account explains how Bridgewater developed the All Weather approach from a broader effort to understand recurring economic relationships. Its core framework separates returns into cash, market beta, and manager alpha, then considers how…
This research summary reviews trend-following indicators and how to build strategies for broad asset allocation and industry allocation. It groups 41 indicators by their input data, filtering, moving-average construction, and signal generation, arguing that…
This 2022 overview describes Hong Kong as a base for international and Chinese quantitative asset managers and as a channel for overseas investors seeking exposure to mainland China. It cites hiring and regional-office examples involving Citadel and Two…
The document presents a framework for deciding whether a candidate multifactor strategy adds value beyond a small set of investable reference factors, called elementary smart betas. It models each candidate through its exposures to those factors and its…
This commentary reviews the Chinese quantitative-investing environment in 2022 and presents a private manager’s expectations for 2023. It attributes a difficult path to excess returns to weak trading activity and rapid shifts in market style, alongside a…
This document describes a chart utility for viewing groups of long and short symbols together. Users can configure each basket with up to 50 symbols, select a symbol to display on the chart, and review per-symbol and total statistics. These include weekly…
This brief literature note introduces a VaR-augmented Black-Litterman approach for constructing an absolute-return fund-of-funds portfolio with market-risk controls. The described formulation incorporates value-at-risk alongside practical trading…
This roundtable transcript gathers views from Chinese investment managers, researchers, and futures professionals on the development of quantitative investing. Participants discuss the tension among scale, returns, and risk; the challenge of declining or…
The document introduces multiple linear regression as a model relating one dependent variable to several explanatory variables, contrasting it with simple regression. It connects the method’s broad use in quantitative finance with the progression from the…
This strategy combines volatility bands, a long moving average, a short-period RSI, and a trading-hours filter to take both breakout and reversal trades. It calculates bands from an exponentially weighted mean and variance of log prices. Signals use price…
This article outlines an asset allocation method that combines risk parity with the Black-Litterman framework. Risk parity portfolio weights serve as prior weights, which are used to infer prior expected returns. Short-term momentum views are then…
The document summarizes a portfolio construction method that translates target macroeconomic factor exposures into asset weights. It considers six factors: equity, real interest rates, credit, inflation, emerging markets, and commodities. A standard linear…
The article presents quantitative investing as a way to replace discretionary buy and sell decisions with signals from systematic models. It attributes common retail timing mistakes to fear, greed, and reactions to market sentiment, and says rules-based…
This Korean-language project overview describes LumiBot, a Python framework for building trading strategies that can use ordinary rules, AI agents, or a combination. It presents a workflow that begins with a sample strategy and historical-data backtest, then…
This Backtrader example demonstrates managing several data feeds independently within one strategy. It assigns entry and holding weekdays by data-feed index, tracks each feed’s position and outstanding orders, and sizes buys and sells differently through a…
This indicator overlays candles from a configurable higher time frame onto a lower-time-frame price chart. The interval is specified in minutes, with examples including an hour, four hours, and a day. It tracks elapsed chart time to detect the start of a new…
This Chinese-language article surveys quantitative finance work through six role types: desk quant, model validation, research, quant development, statistical arbitrage, and capital modeling. It describes how these roles differ in their proximity to trading,…
The document describes the U.S. Dollar Index, also known as USDX or DXY, as a measure of the U.S. dollar’s value relative to a basket of foreign currencies. It explains the index’s direction: it rises when the dollar strengthens against the basket. ICE…
This essay uses the contest of guessing two-thirds of the group’s average to explain why a theoretically logical answer may not win when other players reason differently. Applied to speculation, its central lesson is to consider market behavior and other…
The Dynamic Time Oscillator combines Stochastic RSI readings from the current chart timeframe and a higher timeframe. For each, it calculates RSI, normalizes that value over a lookback range, and smooths the result into fast %K and slow %D lines. The…
The document explains a Brinson framework for separating portfolio returns into a policy benchmark, active asset allocation or timing, security selection, and their interaction. The benchmark reflects long-term asset-class weights and passive returns.…
This document describes a chart indicator for tracking groups of long and short symbols together. Users can configure up to 50 symbols in each basket, switch the chart to a listed symbol, move the display, and select the week for its historical statistics.…